<p>Magnetic loss is a key factor limiting the application of nanocrystalline soft magnetic composite materials (n-SMCs) in high-frequency environments, and insulative coating and annealing treatment are important methods to reduce magnetic loss. In this study, a nano-La₂O₃ insulative coating was applied to the surface of FeSiBNbCu nanocrystalline magnetic powder via physical grinding combined with ultrasonic vibration. The effects of nano-La₂O₃ coating content (0–1 wt%) and annealing temperature (455–530 ℃) on the soft magnetic properties of the magnetic powder core were systematically investigated. The results showed that the nano-La₂O₃ coating could significantly improve the insulative performance between magnetic powders and effectively reduce the P_e of n-SMCs. With the increase of nano-La₂O₃ content, the P_e showed a trend of first decreasing and then increasing, reaching the lowest at 0.75 wt%. The P_e decreases from 193.43 mW/cm³ (with 0.0 wt% La₂O₃) to 142.537 mW/cm³ (with 0.75 wt% La₂O₃ at <i>f</i> = 1&#xa0;MHz), representing a reduction of 26.3%. Meanwhile, by optimizing the annealing process, the residual internal stress in the magnetic powder core induced during compaction is effectively relieved, leading to a significant decrease in hysteresis loss. As the annealing temperature increases, the hysteresis loss of the magnetic powder core reaches its minimum at 505&#xa0;°C. When the nano-La₂O₃ content was 0.75 wt% and the annealing temperature was 505 ℃, the prepared nanocrystalline magnetic powder core exhibited optimal soft magnetic properties: a stable effective permeability (22.47) and the lowest total loss (230.4 mW/cm³ at <i>f</i> = 1&#xa0;MHz, <i>B</i>_m = 20 mT), which was 22.89% lower than that of the untreated sample. This study provides a new process scheme for the development of high-performance low-loss n-SMCs.</p>